Oil prices and the CAD / USD exchange rate

Authors: Chacon Aguilar, Ana Gloria
Advisor: Gordon, StephenSamson, Lucie
Abstract: This thesis studies the relationship between oil and energy prices with the CAD/USD exchange rate using an error correction model closely linked with the Bank of Canada’s exchange rate equation. A structural break occurs in the relationship between oil and energy prices and the CAD/USD exchange rate when this latter is at parity. Accordingly, an error correction model is employed to estimate the CAD/USD exchange rate by incorporating the effect of parity versus non-parity in the forecasting equation. Moreover, the sensitivity of the exchange rate equation shifts in the presence of parity versus the absence of parity. More precisely, when parity occurs, the CAD/USD exchange rate responds less to changes in oil and energy prices.
Document Type: Mémoire de maîtrise
Issue Date: 2013
Open Access Date: 19 April 2018
Permalink: http://hdl.handle.net/20.500.11794/24445
Grantor: Université Laval
Collection:Thèses et mémoires

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